Installers are just fancy zipped folder. And AFAIK, all games that are DRM free on GoG are also DRM free on Steam. So you can download the game, zip the game data folder, copy it elsewhere, unzip it and play it there. I’ve done that with several games, in fact when I was trying to convince some friends to buy a game I did that so we could play it in lan with a single copy so they would try it and buy it so we could play it online later.

So, yeah, you can absolutely do that in Steam, which is why I never get the “oh, but GoG has DRM free games” appeal.